Clustering of Markov chain exceedances

DOI10.3150/12-BEJSP08zbMATH Open1284.60106arXiv1210.2314OpenAlexW2093049857MaRDI QIDQ373538FDOQ373538

Authors: David Zeber, Sidney I. Resnick 

Publication date: 17 October 2013

Published in: Bernoulli (Search for Journal in Brave)

Abstract: The tail chain of a Markov chain can be used to model the dependence between extreme observations. For a positive recurrent Markov chain, the tail chain aids in describing the limit of a sequence of point processes $N_n,ngeq1$, consisting of normalized observations plotted against scaled time points. Under fairly general conditions on extremal behaviour, $N_n$ converges to a cluster Poisson process. Our technique decomposes the sample path of the chain into i.i.d. regenerative cycles rather than using blocking argument typically employed in the context of stationarity with mixing.

Full work available at URL: https://arxiv.org/abs/1210.2314

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zbMATH Keywords

Markov chainextreme valuesregenerative processcluster Poisson processexceedance point processtail chain

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (8)

• Asymptotics of Markov kernels and the tail chain
• Transition kernels and the conditional extreme value model
• Analysing plant closure effects using time-varying mixture-of-experts Markov chain clustering
• Complete convergence and records for dynamically generated stochastic processes
• Clustering in block Markov chains
• An Adaptive Markov Chain Monte Carlo Approach to Time Series Clustering of Processes with Regime Transition Behavior
• Asymptotics of the order statistics for a process with a regenerative structure
• On extremes of random clusters and marked renewal cluster processes

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